Giovanni Barone-Adesi

University of Lugano

Professor

Via Buffi 13

CH-6904 Lugano

Switzerland

Swiss Finance Institute

c/o University of Geneva

40 Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • University of Lugano

    • Email
    • Tel: +41 58 666 4671
    • Fax: +41 58 666 46 47
SCHOLARLY PAPERS

37

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119

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36

Scholarly Papers (37)

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1.

A GARCH Option Pricing Model with Filtered Historical Simulation

Downloads 3,429 ( 6,798)
Citation 44

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University (NYU) - Department of Finance and Università della Svizzera italiana (USI Lugano)
Downloads 3,429 (6,671)
Citation 44

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Option pricing, GARCH model, state price density, Monte Carlo simulation

A GARCH Option Pricing Model with Filtered Historical Simulation

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1223-1258, 2008
Posted: 02 Jul 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
University of Lugano, New York University (NYU) - Department of Finance and Università della Svizzera italiana (USI Lugano)

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2.

Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory

Swiss Finance Institute Research Paper No. 12-21
Number of pages: 47 Posted: 18 May 2012 Last Revised: 20 Mar 2017
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, Università della Svizzera italiana (USI Lugano) and Santa Clara University - Leavey School of Business
Downloads 1,748 (19,723)
Citation 10

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Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

3.

An Option Pricing Formula for the GARCH Diffusion Model

Number of pages: 31 Posted: 13 May 2004
Giovanni Barone-Adesi, Henrik Rasmussen and Claudia Ravanelli
University of Lugano, J.P. Morgan and Co. and Center for Finance and Insurance
Downloads 1,251 (32,554)
Citation 6

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Option pricing, Stochastic volatility models, GARCH models, implied volatility, Monte Carlo methods

4.

On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market

Swiss Finance Institute Research Paper No. 09-07
Number of pages: 36 Posted: 21 Mar 2009 Last Revised: 06 Sep 2010
Giovanni Barone-Adesi, Hélyette Geman and John Theal
University of Lugano, University of London - Economics, Mathematics and Statistics and Banque Centrale du Luxembourg
Downloads 1,009 (44,296)
Citation 4

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gold futures market, convenience yield, gold lease rate, speculative pressure

5.

Electricity Derivatives

Number of pages: 15 Posted: 07 May 2002
Giovanni Barone-Adesi and Andrea Gigli
University of Lugano and Universita della Svizzera Italiana - Institute of Finance
Downloads 978 (46,253)
Citation 3

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Electricity derivatives, risk-neutral valuation

6.

Pricing Bonds and Bond Options with Default Risk

Number of pages: 43 Posted: 05 Mar 2004
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Lugano and Iason Ltd.
Downloads 966 (47,085)
Citation 2

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7.

Sentiment, Asset Prices, and Systemic Risk

Swiss Finance Institute Research Paper No. 11-50
Number of pages: 31 Posted: 03 Nov 2011 Last Revised: 21 Mar 2012
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, Università della Svizzera italiana (USI Lugano) and Santa Clara University - Leavey School of Business
Downloads 892 (52,502)
Citation 6

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systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism

8.

A Tale of Two Investors: Estimating Optimism and Overconfidence

26th Australasian Finance and Banking Conference 2013
Number of pages: 50 Posted: 02 Sep 2013
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, Università della Svizzera italiana (USI Lugano) and Santa Clara University - Leavey School of Business
Downloads 546 (99,340)
Citation 5

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Sentiment, Pricing Kernel, Optimism, Overconfidence

9.

Greed and Fear: The Nature of Sentiment

Swiss Finance Institute Research Paper No. 18-45
Number of pages: 114 Posted: 15 Jun 2018
Giovanni Barone-Adesi, Matteo Pisati and Carlo Sala
University of Lugano, Universita' della Svizzera Italiana and ESADE Business School
Downloads 474 (117,930)
Citation 3

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sentiment, uncertainty, fear, markets predictability, anomalies

10.

The Relationship Between Credit Default Swap and Cost of Equity Capital

Swiss Finance Institute Research Paper No. 10-49
Number of pages: 57 Posted: 05 Dec 2010
Giovanni Barone-Adesi and Moreno Brughelli
University of Lugano and University of Lugano - Institute of Finance
Downloads 464 (121,229)

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Asset Pricing, Cost of Capital, Implied Cost of Capital, Analysts' Forecasts, Discount Rate, Firm Valuation

11.

Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub‐Prime Crisis

Swiss Finance Institute Research Paper No. 12-04
Number of pages: 54 Posted: 11 Feb 2012
Giovanni Barone-Adesi, Nicola Carcano and Hakim Dall'O
University of Lugano, University of Lugano and Swiss Finance Institute at the University of Lugano
Downloads 417 (136,987)
Citation 3

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hedging, corporate bonds, model errors

12.

Is the Price Kernel Monotone?

Downloads 406 (141,304)
Citation 3

Is the Price Kernel Monotone?

Swiss Finance Institute Research Paper No. 10-03
Number of pages: 33 Posted: 24 Jan 2010 Last Revised: 07 May 2010
Giovanni Barone-Adesi and Hakim Dall'O
University of Lugano and Swiss Finance Institute at the University of Lugano
Downloads 301 (194,381)
Citation 4

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Pricing kernel, State price density per unit probability, Risk neutral, Historical distribution.

Is the Price Kernel Monotone?

Number of pages: 30 Posted: 21 Jan 2010
Giovanni Barone-Adesi and Hakim Dall'O
University of Lugano and Swiss Finance Institute at the University of Lugano
Downloads 105 (495,905)
Citation 3

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Pricing kernel, State price density per unit probability

13.

Option market trading activity and the estimation of the pricing kernel A Bayesian approach

Journal of Econometrics, Vol. 216, No. 2, 2020
Number of pages: 42 Posted: 23 Jan 2016 Last Revised: 07 Aug 2020
Giovanni Barone-Adesi, Nicola Fusari, Carlo Sala and Antonietta Mira
University of Lugano, Johns Hopkins University - Carey Business School, ESADE Business School and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 396 (145,396)
Citation 17

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Pricing kernelPricing kernel puzzlePhysical measureDirichlet processBayesian nonparametric estimationOptionsS&P 500 index

14.

The Keys of Predictability: A Comprehensive Study

Swiss Finance Institute Research Paper No. 19-15
Number of pages: 69 Posted: 21 Mar 2019 Last Revised: 04 Apr 2019
Giovanni Barone-Adesi, Antonietta Mira and Matteo Pisati
University of Lugano, Università della Svizzera italiana - InterDisciplinary Institute of Data Science and Universita' della Svizzera Italiana
Downloads 394 (146,212)

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Markets Predictability, Machine Learning, Model Selection

15.

VaR and CVaR Implied in Option Prices

Swiss Finance Institute Research Paper No. 15-45
Number of pages: 11 Posted: 27 Nov 2015 Last Revised: 15 Oct 2016
Giovanni Barone-Adesi
University of Lugano
Downloads 364 (159,724)
Citation 20

Abstract:

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16.

Average Conditional Correlation and Tree Structures for Multivariate GARCH Models

Number of pages: 36 Posted: 03 Jun 2004
Francesco Audrino and Giovanni Barone-Adesi
University of St. Gallen and University of Lugano
Downloads 352 (165,630)
Citation 7

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Multivariate GARCH models,Dynamic conditional correlations,Tree-structured GARCH models, Model confidence set approach

17.

Option-Implied Risk Measures: An Empirical Examination on the S&P500 Index

International Journal of Finance and Economics, Forthcoming
Number of pages: 46 Posted: 16 Apr 2018 Last Revised: 03 Apr 2020
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
University of Lugano, Swiss Finance Institute and ESADE Business School
Downloads 351 (166,095)
Citation 7

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Option Prices, VaR and CVaR, Long and Short-term Risk Measures, S&P 500 Index

18.

Homogeneity Hypothesis in the Context of Asset Pricing Models: The Quadratic Market Model

Cass Business School Research Paper
Number of pages: 14 Posted: 14 Mar 2001
Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga
University of Lugano, University of Lugano and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 341 (171,423)
Citation 5

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Asset pricing models, panel

19.

WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application

Journal of Forecasting, Volume 38, Issue 6, Pages 552-563, Forthcoming , Swiss Finance Institute Research Paper No. 16-53
Number of pages: 25 Posted: 24 Feb 2016 Last Revised: 13 Aug 2019
Giovanni Barone-Adesi, Marinela Adriana Finta, Chiara Legnazzi and Carlo Sala
University of Lugano, Singapore Management University, Swiss Finance Institute and ESADE Business School
Downloads 295 (199,891)
Citation 4

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Option Prices, Risk Measures, VaR and CVaR, Elicitability

20.

A Multivariate Fgd Technique to Improve VAR Computation in Equity Markets

Number of pages: 30 Posted: 15 Jan 2003
Francesco Audrino and Giovanni Barone-Adesi
University of St. Gallen and University of Lugano
Downloads 275 (215,001)
Citation 3

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Volatility estimation, Filtered Historical Simulation, Value-at-Risk

21.

A Bayesian Estimate of the Pricing Kernel

Swiss Finance Institute Research Paper No. 16-14
Number of pages: 47 Posted: 19 Feb 2016 Last Revised: 28 Oct 2017
Giovanni Barone-Adesi, Chiara Legnazzi and Antonietta Mira
University of Lugano, Swiss Finance Institute and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 242 (243,985)

Abstract:

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Pricing Kernel, pricing kernel puzzle, Poisson-Dirichlet Process

22.

'Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory': Online Appendix

Number of pages: 60 Posted: 22 Jul 2013 Last Revised: 20 Mar 2017
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, Università della Svizzera italiana (USI Lugano) and Santa Clara University - Leavey School of Business
Downloads 241 (245,016)
Citation 5

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Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

23.

Managing the Shortfall Risk of Target Date Funds by Overfunding

Journal of Pension Economics & Finance
Number of pages: 40 Posted: 22 Apr 2020 Last Revised: 12 Jan 2024
Giovanni Barone-Adesi, Eckhard Platen and Carlo Sala
University of Lugano, University of Technology, Sydney (UTS) - Finance Discipline Group and ESADE Business School
Downloads 232 (254,131)

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Hedging, target date funds, dynamic investment policies

24.

Capital Levels and Risk-Taking Propensity in Financial Institutions

Accounting and Finance Research, 3 (1), 85-89, (2014) , Swiss Finance Institute Research Paper No. 13-33
Number of pages: 11 Posted: 08 Jun 2013 Last Revised: 09 Jan 2020
Giovanni Barone-Adesi, Walter Farkas and Pablo Koch-Medina
University of Lugano, University of Zurich - Department Finance and University of Zurich - Department Finance
Downloads 230 (256,308)

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risk propensity, net tangible value, default option, franchise value

25.

Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set

Swiss Finance Institute Research Paper No. 15-58
Number of pages: 33 Posted: 02 Oct 2015 Last Revised: 03 Aug 2018
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 152 (371,047)
Citation 4

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Empirical Pricing Kernel, Real World Measure, Fundamental Theorems of Asset Pricing, Risk Premium, Semimartingale

26.

Conditioning the Information in Portfolio Optimization

Swiss Finance Institute Research Paper No. 15-50, 29th Australasian Finance and Banking Conference 2016
Number of pages: 32 Posted: 16 Oct 2015 Last Revised: 10 Nov 2016
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 147 (381,307)

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Portfolio optimization problem, Levy-Ito mixed model, Pricing kernel, Information premium, Optimal bounds

27.

Testing Market Efficiency With the Pricing Kernel

European Journal of Finance, 2019, Swiss Finance Institute Research Paper No. 19-77
Number of pages: 45 Posted: 01 Aug 2019 Last Revised: 02 Jan 2020
Giovanni Barone-Adesi and Carlo Sala
University of Lugano and ESADE Business School
Downloads 110 (476,234)
Citation 2

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market information; market efficiency; pricing kernel; fundamental theorems of asset pricing; dominating trading strategies

28.

Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund

Swiss Finance Institute Research Paper No. 15-12
Posted: 04 Apr 2015
Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper
University of Lugano, Neapolis University, Pafos and LCH.Clearnet (Retired)

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Central counterparty risk management, filtered historical simulation, stress testing, tail dependency.

29.

Non-Parametric VAR Techniques: Myths and Realities

Economic Notes, 30, July, 167-181
Posted: 28 Aug 2012
Kostas Giannopoulos and Giovanni Barone-Adesi
Neapolis University, Pafos and University of Lugano

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market risk, non parametric, filtered historical simulation

30.

The Stability of Factor Models of Interest Rates

Journal of Financial Econometrics, Vol. 3, No. 3, pp. 422-441, 2005
Posted: 29 Feb 2008
Francesco Audrino, Giovanni Barone-Adesi and Antonietta Mira
University of St. Gallen, University of Lugano and University of Insubria - Department of Economics

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factor analysis, FGD, robust regression, term structure

31.

Barrier Option Pricing Using Adjusted Transition Probabilities

https://doi.org/10.3905/JOD.2008.16.2.036, Swiss Finance Institute Research Paper No. 07-02
Posted: 22 Feb 2007
Giovanni Barone-Adesi, Nicola Fusari and John Theal
University of Lugano, Johns Hopkins University - Carey Business School and Banque Centrale du Luxembourg

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barrier option, binomial tree, convergence rate, transition probability

32.

On the Use of Implied Volatilities in the Prediction of Successful Corporate Takeovers

Posted: 23 Dec 1999
Keith C. Brown, Giovanni Barone-Adesi and W. Van Harlow
University of Texas at Austin - Department of Finance, University of Lugano and Fidelity Investments

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33.

On the Use of Implied Stock Volatilities in the Prediction of Successful Corporate Takeovers

Posted: 10 Sep 1999
Giovanni Barone-Adesi, Keith C. Brown and W. Van Harlow
University of Lugano, University of Texas at Austin - Department of Finance and Fidelity Investments

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34.

Alm in Banks

Posted: 06 Jan 1999
Giovanni Barone-Adesi
University of Lugano

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35.

Call Policies with Flotation Costs: A Dog Chasing its Tail

Rodney L. White Center for Financial Research Working Paper No. 12-95
Posted: 10 Oct 1998
Giovanni Barone-Adesi and Francisco A. Delgado
University of Lugano and University of Colorado at Boulder - Leeds School of Business

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36.

Capital Structure, Call Policies and Flotation Costs: A Dog Chasing its Tail

Rodney L. White Center for Financial Research Working Paper Series Paper #22-95 (This paper is a revision of Working Paper #12-95 ("Call Policies with Flotation Costs: A Dog Chasing Its Tail")
Posted: 05 Jul 1998
Francisco A. Delgado and Giovanni Barone-Adesi
University of Colorado at Boulder - Leeds School of Business and University of Lugano

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37.

Pricing Bonds and Bond Options Under Default Risk

Posted: 15 Jun 1998
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Lugano and Iason Ltd.

Abstract:

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